:: Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach

Korhan K. Gokmenoglu (Elsevier, 2020)

 Abstrak

This study aims to shed light on the co-movement of sovereign credit risk and economic risk in Turkey using the Toda–Yamamoto causality, Gradual Shift causality, and Wavelet Coherence tests. The study answers the following questions, which, to the best of our knowledge, have not been investigated in the literature: (i) Is there any causal linkage between sovereign credit risk and economic risk?; and (ii) If yes, why? Our findings reveal that (i) economic risk caused sovereign credit risk in 1997 and 2002; and (ii) between 2001 and 2012, sovereign credit risk caused economic risk at different scales. The Toda–Yamamoto causality and Gradual Shift causality tests confirm that, in Turkey, changes in sovereign credit risk significantly lead to changes in economic risk, indicating the importance of sovereign credit risk for predicting economic risk.

 Metadata

No. Panggil : 658.15 BIR 20:2 (2020)
Entri utama-Nama orang :
Subjek :
Penerbitan : Amsterdam: Elsevier, 2020
Sumber Pengatalogan : LibUI eng rda
ISSN : 22148450
Majalah/Jurnal : Borsa Istanbul Review
Volume : Vol. 20, No. 2, June 2020: Hal. 144-152
Tipe Konten : text
Tipe Media : unmediated
Tipe Carrier : volume
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 4 R. Koleksi Jurnal
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
658.15 BIR 20:2 (2020) 08-24-28920487 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 9999920541738